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American Economic Review: Vol. 99 No. 1 (March 2009)
AER Volume. 99, Issue 1 | 
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Risk, Ambiguity, and the Rank-Dependence Axioms
Article Citation
Machina, Mark J. 2009. "Risk, Ambiguity, and the Rank-Dependence Axioms."
American Economic Review,
99(1): 385-92.
DOI: 10.1257/aer.99.1.385
DOI: 10.1257/aer.99.1.385
Abstract
Choice problems in the spirit of Ellsberg (1961) suggest that rank-dependent
("Choquet expected utility") preferences over subjective gambles might be subject
to the same difficulties that Ellsberg's earlier examples posed for subjective
expected utility. These difficulties stem from event-separability properties that
rank-dependent preferences partially retain from expected utility, and suggest
that nonseparable models of preferences might be better at capturing features
of behavior that lead to these paradoxes. (JEL D81)
Article Full-Text Access
Full-text Article
Authors
Machina, Mark J. (U CA, San Diego)
JEL Classifications
D81: Criteria for Decision-Making under Risk and Uncertainty
